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Ouch, lost about 10% yesterday on a 30% volatility target. Up 2% today.

30% I am trading 8 instruments, NQ, VX, NG, ZT, PL, 6B, HE, GE. I recently read a post that once you are down 1.5x your annual volatility you may want to consider shutting off the system to take a break or reevaluate if your system has any defects. Seemed like a good idea to me. Whoops, just...

I'm down 4% since I started, but I only started a couple of months ago. Today is painful because I assume most of us are very short volatility.

Thanks for the replies, guys. That makes me feel better that I'm not messing something up. I'm not using the linear transform. GAT, you're right I should have quoted -25.4 for VIX (I was just thinking of the capped forecast), and -.2 for GAS_US (I accidentally added a decimal place).

Hi Gat, I'm trading your chapter 15 system on 8 markets, with 30% volatility, and my forecasts seem quite different from yours. Should I be concerned, or is this likely due to the fact that our systems are different in terms of volatility target and quantity of markets? My recent forecasts...